Preheat an electric or gas grill, grill pan on stovetop, or prepare charcoal grill. Grill steak over high heat, about 2-3 minutes per side.
Heat a skillet with 1 tbsp canola oil over medium heat. Sauté onions and peppers until onions are translucent, about 5 minutes. Add sauce to pan and let it bubble a little to heat it up. Remove from heat and add cooked steak. Keep warm.
Slice KH rolls in half and toast if desired. Top the rolls with 1-2 slices of steak, peppers and onions. Serve sliders immediately.